Frontiers of Mathematics in China >

2011 , Vol. 6 >Issue 6: 1067 - 1083

DOI: https://doi.org/10.1007/s11464-011-0118-9

RESEARCH ARTICLE

Deviation inequalities and moderate deviations for estimators of parameters in TAR models

  • Jun FAN 1 ,
  • Fuqing GAO , 2
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  • 1. School of Science, Hebei University of Technology, Tianjin 300130, China
  • 2. School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China

Received date: 31 Jul 2010

Accepted date: 03 Mar 2011

Published date: 01 Dec 2011

Copyright

2014 Higher Education Press and Springer-Verlag Berlin Heidelberg
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Abstract

In this paper, we establish some deviation inequalities and the moderate deviation principles for the least squares estimators of the parameters in the threshold autoregressive model under the assumption that the noise random variable satisfies a logarithmic Sobolev inequality.

Key words： Threshold autoregressive model; least square estimator; moderate deviations; logarithmic Sobolev inequality

Cite this article

Jun FAN , Fuqing GAO . Deviation inequalities and moderate deviations for estimators of parameters in TAR models[J]. Frontiers of Mathematics in China, 2011 , 6(6) : 1067 -1083 . DOI: 10.1007/s11464-011-0118-9

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